A Bidding Game in a Continuum Limit Order Book

DOI10.1137/120896359zbMath1280.49027DBLPjournals/siamco/BressanF13OpenAlexW2039715333WikidataQ59263902 ScholiaQ59263902MaRDI QIDQ2873842

Alberto Bressan, Giancarlo Facchi

Publication date: 27 January 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/120896359

zbMATH Keywords

optimality conditionsNash equilibriumprice impactlimit order bookbidding gameoptimal pricing strategymeasure-valued optimization

Mathematics Subject Classification ID

Noncooperative games (91A10) (n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Optimality conditions for problems involving randomness (49K45) Probabilistic games; gambling (91A60) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact ⋮ Clearing price distributions in call auctions ⋮ A bidding game with heterogeneous players ⋮ A dynamic model of the limit order book

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